Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0216
Annualized Std Dev 0.1291
Annualized Sharpe (Rf=0%) -0.1671

Row

Daily Return Statistics

Close
Observations 3344.0000
NAs 1.0000
Minimum -0.1451
Quartile 1 -0.0023
Median 0.0002
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0025
Maximum 0.1127
SE Mean 0.0001
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0081
Skewness -0.5197
Kurtosis 60.5107

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0066
Loss Deviation 0.0074
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0059
Downside Deviation (0%) 0.0059
Maximum Drawdown 0.4621
Historical VaR (95%) -0.0096
Historical ES (95%) -0.0197
Modified VaR (95%) -0.0047
Modified ES (95%) -0.0047
From Trough To Depth Length To Trough Recovery
2007-12-19 2009-03-09 NA -0.4621 3335 305 NA
2007-12-11 2007-12-12 2007-12-18 -0.0033 6 2 4
2007-12-06 2007-12-06 2007-12-10 -0.0025 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA NA 0 0
2008 -0.1 -0.4 -0.6 0.7 0.7 -0.9 -0.6 0.4 -0.2 -0.8 -2.1 4.6 0.6
2009 -0.4 -0.7 -1.9 -0.3 1 -2.2 0.9 -1.5 -3.2 -0.5 -0.6 -0.3 -9.5
2010 -0.7 -0.6 -0.7 0.2 -1.6 -0.2 0 0 -0.4 -1.1 0.1 0.2 -4.8
2011 -0.4 -1.1 -0.7 0.2 -1.4 0.1 -0.2 -0.8 -2 -2.3 -0.5 -0.1 -8.8
2012 -0.2 -0.5 -0.3 -0.3 -1.4 0.7 -0.3 0.3 -0.6 -0.2 0.3 0.4 -2
2013 -0.2 -0.2 -0.4 -0.6 -1.2 -0.1 -1.2 -0.1 -0.3 -0.5 0.2 0.1 -4.3
2014 0 0.2 -0.4 -0.4 0 -0.4 -0.7 0 -0.2 0 -1.2 -0.4 -3.6
2015 -0.2 0.1 -0.2 -0.3 -0.5 -0.3 -0.1 -0.9 -0.8 0 -0.1 0 -3.2
2016 -1.2 1.3 -0.3 0.2 -0.5 -0.4 -1.1 -0.3 0.4 -0.8 -0.9 0.1 -3.5
2017 -0.2 -0.1 -0.1 -0.5 -0.3 0.2 -0.3 -0.4 0.1 -0.5 -0.5 0.2 -2.5
2018 -0.7 -0.9 0.2 -0.5 -0.3 -0.2 -0.4 0.1 -0.2 -0.1 -0.3 0.1 -3
2019 -0.5 -0.3 -0.4 -0.8 -0.7 -0.5 -0.5 -0.1 -0.7 0 -0.2 0.1 -4.4
2020 -0.5 0.3 -3.2 -2.1 0.2 -0.2 0.1 0.1 -0.1 0.2 0 0.1 -4.9
2021 0 0.6 0.5 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-12-04  144. SPY    146. -0.0089   0.0266  -0.032  -9.70e-3   0.0438    0.226    0.555 GLD    79.4  0.0143  -0.0087
2 2007-12-05  144. SPY    149.  0.0167   0.0114  -0.0083  4.60e-3   0.0532    0.248    0.602 GLD    78.6 -0.0097  -0.0118
3 2007-12-06  143. SPY    151.  0.0143   0.0255  -0.0074  3.33e-2   0.0637    0.266    0.633 GLD    79.4  0.0094   0.0139
4 2007-12-07  143. SPY    151. -0.0002   0.0151   0.0203  3.51e-2   0.0644    0.278    0.651 GLD    78.6 -0.0097   0.0166
5 2007-12-10  144. SPY    152.  0.0078   0.0298   0.0334  3.11e-2   0.0774    0.280    0.652 GLD    80    0.0178   0.022 
6 2007-12-11  144. SPY    148. -0.0274   0.0106   0.0191  3.00e-4   0.0459    0.241    0.653 GLD    78.8 -0.0145  -0.0071
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart